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Publications by Melanie Sturm

Interest Rate Risk, Term Spreads, and the Mortgage Contract Term

English

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Uncovered Interest Rate Parity and the Term Structure

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Banks' Exposure to Interest Rate Risk, Their Earnings From Term Transformation, and the Dynamics of the Term Structure

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Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

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Interest Rate Term Structure Decomposition at the Instrument Level

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Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields

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Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

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Fractional Cointegration in US Term Spreads

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The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period

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Yield Spreads and Interest Rate Movements: A Bird's Eye View

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